| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 957956 | Journal of Economics and Business | 2011 | 19 Pages |
Abstract
ⶠA state-space model used to recover the sensitivities of betas to output growth. ⶠDifferent sensitivities of big value betas to real-time and revised output growth. ⶠCountercyclical (procyclical) dynamics of big value (big growth) betas. ⶠReal-time output growth more important for big value betas after Great Moderation. ⶠReal-time output growth less important for big growth betas after Great Moderation.
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Authors
Renatas Kizys, Christian Pierdzioch,